Re: [Gretl-users] Heteroskedasticity / correction
Am 10.01.2014 18:38, schrieb Ana Amaro ISG:
Hi everyone
I need some help on this topic:
1- simple model one regressor (x)
2- error is heteroskedastic (and residual analysis shows that the error variance
increases with x variable)
3- rerun the analysis dividing both model members by the sqrt(x) - no constant
why no constant here? usually you need to have good reasons for that --
if you had a constant in step 1, dividing everything by some number does
not eliminate the constant.
Eviews runs the white test with a constant
Gretl runs the white test with no constant!
The decision is, of course, different.
Which software is doing it the right way? Eviews, right?
I'm trying to avoid the question by suggesting to include the constant
in the estimated equation :-)
However, I tend to agree that the variance test equation should always
have a constant term, otherwise there is almost no chance to accept the
null, even without heteroscedasticity. So it looks as if gretl may need
to change here -- take it with a grain of salt though, as I haven't
thought much about it.
-sven